Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0284
Annualized Std Dev 0.2261
Annualized Sharpe (Rf=0%) 0.1255

Row

Daily Return Statistics

Close
Observations 3388.0000
NAs 1.0000
Minimum -0.1145
Quartile 1 -0.0060
Median 0.0007
Arithmetic Mean 0.0002
Geometric Mean 0.0001
Quartile 3 0.0070
Maximum 0.0983
SE Mean 0.0002
LCL Mean (0.95) -0.0003
UCL Mean (0.95) 0.0007
Variance 0.0002
Stdev 0.0142
Skewness -0.3635
Kurtosis 7.6146

Downside Risk

Close
Semi Deviation 0.0104
Gain Deviation 0.0099
Loss Deviation 0.0113
Downside Deviation (MAR=210%) 0.0150
Downside Deviation (Rf=0%) 0.0103
Downside Deviation (0%) 0.0103
Maximum Drawdown 0.6008
Historical VaR (95%) -0.0218
Historical ES (95%) -0.0346
Modified VaR (95%) -0.0225
Modified ES (95%) -0.0423
From Trough To Depth Length To Trough Recovery
2007-11-02 2009-03-09 2013-09-10 -0.6008 1469 336 1133
2018-01-29 2020-03-23 2021-02-11 -0.4507 766 541 225
2014-07-07 2016-02-12 2017-04-24 -0.2242 706 406 300
2013-10-23 2014-02-03 2014-03-06 -0.0793 92 70 22
2014-03-07 2014-03-20 2014-05-29 -0.0433 58 10 48

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2007 NA NA NA NA NA NA NA NA 0.9 0.3 -0.2 0.1 1
2008 3.9 -0.7 3.5 1 0.3 -1.4 -0.2 -1.3 -1.1 3.5 -5.8 0.1 1.4
2009 -0.8 -1.1 1 1.3 3.6 2.3 1.3 -3.1 -1.6 -5.1 4 -1.1 0.2
2010 1.5 1.2 1.4 -1.3 -0.8 -0.8 0.7 3 0.9 -0.2 2.9 1.3 10.3
2011 2 -1.1 0.4 0.4 -1.4 0.7 -0.5 -1.9 -2.5 -2.8 -1.6 1 -7.2
2012 1.7 0.8 -1.3 0.4 -3.3 4.8 -0.2 1.2 0.5 0.8 -0.1 1.2 6.6
2013 1 0.4 -1.8 -0.6 -2.2 0.7 1.1 -1.8 0.9 -0.9 0.7 1.2 -1.4
2014 -1.2 0.4 0.2 0.4 0.1 0.9 -0.2 0.2 -1.2 1.4 -0.1 0.3 1.2
2015 -1.6 0 0.1 0.2 0.1 -0.4 0.3 -3 0.3 0.5 1.1 -0.4 -2.8
2016 0.3 2.1 -1 -0.2 0 0.6 -0.8 0.8 0.1 -0.1 0 0.2 1.9
2017 0.6 0.8 -0.2 0.3 1 1.1 0.4 0.3 0.6 0.7 -0.4 0.1 5.6
2018 0.3 -1.3 1.3 -0.3 0.6 0.5 -0.4 -0.1 0.1 1.6 0 -0.1 2.2
2019 -0.3 0.6 1.9 -1 -0.2 1 -0.9 0.7 -0.4 1 -0.7 0.3 1.9
2020 -1.3 -1 -4 -2.3 2.2 0.2 -1.6 0.1 0.7 -0.3 2.3 -0.5 -5.7
2021 1.6 1.8 0.6 NA NA NA NA NA NA NA NA NA 4.1

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2007-09-27  25.5 SPY    153.  0.0059   0.0053   0.0652   0.018     0.146    0.382    0.815 GLD    72.7  0.0097 -3.00e-4
2 2007-09-28  25.7 SPY    153. -0.0033   0.004    0.0412   0.0143    0.141    0.371    0.780 GLD    73.5  0.0111  1.62e-2
3 2007-10-01  25.9 SPY    154.  0.0113   0.0172   0.0558   0.0165    0.154    0.380    0.865 GLD    73.9  0.0053  2.24e-2
4 2007-10-02  25.9 SPY    154. -0.0014   0.0178   0.044    0.0115    0.154    0.379    0.884 GLD    72.4 -0.021   3.00e-4
5 2007-10-03  25.9 SPY    154. -0.002    0.0104   0.0315   0.0105    0.156    0.353    0.794 GLD    71.9 -0.0062 -1.40e-3
6 2007-10-04  25.8 SPY    154.  0.0016   0.0061   0.0422   0.0068    0.155    0.353    0.852 GLD    72.9  0.0135  2.30e-3
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart